Related papers: Fully Adaptive Gaussian Mixture Metropolis-Hasting…

Sequential state estimation in non-linear and non-Gaussian state spaces has a wide range of applications in statistics and signal processing. One of the most effective non-linear filtering approaches, particle filtering, suffers from weight…

In this work, we introduce a novel class of adaptive Monte Carlo methods, called adaptive independent sticky MCMC algorithms, for efficient sampling from a generic target probability density function (pdf). The new class of algorithms…

In this article we propose a novel MCMC method based on deterministic transformations T: X x D --> X where X is the state-space and D is some set which may or may not be a subset of X. We refer to our new methodology as Transformation-based…

Hamiltonian Monte Carlo (HMC) is a Markov chain algorithm for sampling from a high-dimensional distribution with density $e^{-f(x)}$, given access to the gradient of $f$. A particular case of interest is that of a $d$-dimensional Gaussian…

Bayesian regression trees are flexible non-parametric models that are well suited to many modern statistical regression problems. Many such tree models have been proposed, from the simple single- tree model to more complex tree ensembles.…

Manifold Markov chain Monte Carlo algorithms have been introduced to sample more effectively from challenging target densities exhibiting multiple modes or strong correlations. Such algorithms exploit the local geometry of the parameter…

Accept-reject based Markov chain Monte Carlo (MCMC) methods are the workhorse algorithm for Bayesian inference. These algorithms, like Metropolis-Hastings, require choosing a proposal distribution which is typically informed by the desired…

I introduce a Markov chain Monte Carlo (MCMC) scheme in which sampling from a distribution with density pi(x) is done using updates operating on an "ensemble" of states. The current state x is first stochastically mapped to an ensemble,…

Adaptive importance sampling (AIS) methods are increasingly used for the approximation of distributions and related intractable integrals in the context of Bayesian inference. Population Monte Carlo (PMC) algorithms are a subclass of AIS…

In MCMC methods, such as the Metropolis-Hastings (MH) algorithm, the Gibbs sampler, or recent adaptive methods, many different strategies can be proposed, often associated in practice to unknown rates of convergence. In this paper we…

In order to construct accurate proposers for Metropolis-Hastings Markov Chain Monte Carlo, we integrate ideas from probabilistic graphical models and neural networks in an open-source framework we call Lightweight Inference Compilation…

Hamiltonian Monte Carlo is a prominent Markov Chain Monte Carlo algorithm, which employs symplectic integrators to sample from high dimensional target distributions in many applications, such as statistical mechanics, Bayesian statistics…

In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…

Gibbs sampling is one of the most commonly used Markov Chain Monte Carlo (MCMC) algorithms due to its simplicity and efficiency. It cycles through the latent variables, sampling each one from its distribution conditional on the current…

In Bayesian inverse problems, the posterior distribution is used to quantify uncertainty about the reconstructed solution. In practice, Markov chain Monte Carlo algorithms often are used to draw samples from the posterior distribution.…

A classical approach for approximating expectations of functions w.r.t. partially known distributions is to compute the average of function values along a trajectory of a Metropolis-Hastings (MH) Markov chain. A key part in the MH algorithm…

Markov chain Monte Carlo (MCMC) sampling of densities restricted to linearly constrained domains is an important task arising in Bayesian treatment of inverse problems in the natural sciences. While efficient algorithms for uniform polytope…

In this paper, we address the challenge of Markov Chain Monte Carlo (MCMC) algorithms within the approximate Bayesian Computation (ABC) framework, which often get trapped in local optima due to their inherent local exploration mechanism. We…

Motivated by the physics of strings and branes, we develop a class of Markov chain Monte Carlo (MCMC) algorithms involving extended objects. Starting from a collection of parallel Metropolis-Hastings (MH) samplers, we place them on an…

Metropolis Hastings nested sampling evolves a Markov chain, accepting new points along the chain according to a version of the Metropolis Hastings acceptance ratio, which has been modified to satisfy the nested sampling likelihood…